Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0476 |
| Annualized Std Dev | 0.2849 |
| Annualized Sharpe (Rf=0%) | 0.1671 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4034.0000 |
| NAs | 1.0000 |
| Minimum | -0.1534 |
| Quartile 1 | -0.0077 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0086 |
| Maximum | 0.2028 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0179 |
| Skewness | 0.3177 |
| Kurtosis | 14.0370 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0133 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.6828 |
| Historical VaR (95%) | -0.0261 |
| Historical ES (95%) | -0.0425 |
| Modified VaR (95%) | -0.0224 |
| Modified ES (95%) | -0.0224 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | NA | -0.6828 | 3369 | 267 | NA |
| 2006-05-10 | 2006-06-13 | 2006-12-04 | -0.2599 | 145 | 24 | 121 |
| 2007-07-24 | 2007-08-16 | 2007-09-21 | -0.1805 | 43 | 18 | 25 |
| 2007-02-23 | 2007-03-05 | 2007-04-03 | -0.1161 | 28 | 7 | 21 |
| 2005-10-03 | 2005-10-20 | 2005-11-18 | -0.1100 | 35 | 14 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | 0.1 | 1.9 | 0.5 | 0.9 | 1.2 | 1 | 0.1 | 0.7 | 2.2 | -0.1 | 8.8 |
| 2006 | 0.3 | 2.1 | 0.1 | 0.3 | 2 | 0.3 | -1.7 | 1.4 | -0.5 | -0.1 | -0.7 | -0.1 | 3.3 |
| 2007 | 1 | -1.1 | -0.3 | 0.7 | 2.3 | 0.1 | -1.6 | 3.1 | 3.8 | -3.5 | 0 | -1.1 | 3.3 |
| 2008 | 2.4 | -3.2 | 2.9 | 1.4 | -0.2 | -2.8 | -0.2 | -1.1 | -1.3 | 0.1 | -8.9 | -0.1 | -10.7 |
| 2009 | -1.3 | 1.8 | 3.7 | 1.8 | 3.9 | 2.1 | 0.6 | -1.6 | -2.5 | -4.4 | 2.5 | 0.3 | 6.7 |
| 2010 | 2.9 | 1.7 | 2.4 | -1.3 | -1.8 | 0.6 | 0.3 | 3.3 | 1.6 | 1 | 3 | 0.6 | 15.2 |
| 2011 | 2.2 | -1 | 1.6 | 0.7 | -1.4 | 1.2 | -0.1 | -0.5 | -5.3 | -2.2 | -0.2 | 0.1 | -5 |
| 2012 | 2.3 | 1 | 1 | 0.7 | -2.5 | 4.2 | 0.3 | 0.8 | 1.1 | 1.4 | -0.2 | 1.5 | 12.3 |
| 2013 | 0.7 | 0.1 | -0.9 | -1 | -1.9 | 0.2 | 1.8 | 0.8 | 2 | 0 | 0.8 | 0.8 | 3.3 |
| 2014 | 0 | -0.8 | 1 | 0.1 | -1.3 | 0.9 | 0.6 | -0.1 | -1.9 | 0.8 | -1.8 | 0 | -2.6 |
| 2015 | -2.7 | 0.1 | 1.3 | 0.6 | -0.1 | 0 | 0.8 | -3.9 | 0.3 | -0.1 | 0.6 | 0 | -3.1 |
| 2016 | -1 | 3.6 | 0.3 | -0.2 | -0.1 | 0.7 | -0.4 | 0.5 | 0.7 | -0.7 | -1.1 | -0.5 | 1.8 |
| 2017 | 0.2 | 1.6 | -0.7 | 0.4 | 0.7 | 0.8 | 0.4 | 0.7 | 1 | 0.2 | -1 | 0.5 | 5 |
| 2018 | -0.9 | 0 | 1.8 | -0.6 | 1.1 | 1.6 | -0.8 | 0.7 | 0.2 | 3.6 | -0.1 | -0.2 | 6.6 |
| 2019 | -0.7 | 0.1 | 1.5 | -0.6 | 0.4 | 1.4 | -1.8 | 0.6 | -0.7 | 1.6 | -1.2 | 0.2 | 0.8 |
| 2020 | -1.8 | -0.3 | -3.5 | -3.3 | 2.3 | 1.3 | -0.6 | 2 | 0.9 | -1 | 2.1 | -0.3 | -2.4 |
| 2021 | 2.5 | 2.7 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-03-10 25.1 SPY 121. 0.0022 0.0002 0.0086 0.0206 0.0769 0.0341 -0.141 GLD 44.2 0.0041 0.0286
2 2005-03-11 25.0 SPY 120. -0.007 -0.0191 0.0091 0.0099 0.0834 0.0275 -0.139 GLD 44.4 0.0052 0.0242
3 2005-03-14 24.9 SPY 121. 0.0062 -0.0134 0.0117 0.0152 0.076 0.044 -0.116 GLD 44.0 -0.009 0.0129
4 2005-03-15 24.4 SPY 120. -0.0083 -0.0179 -0.0052 -0.0019 0.0804 0.0368 -0.122 GLD 44.1 0.0007 0.0007
5 2005-03-16 24.2 SPY 119. -0.0085 -0.0153 -0.0129 -0.0138 0.0656 0.0212 -0.154 GLD 44.3 0.0057 0.0066
6 2005-03-17 24.3 SPY 119. 0.002 -0.0155 -0.0146 -0.0126 0.0559 0.0231 -0.149 GLD 43.8 -0.0111 -0.0086
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
